𝔖 Bobbio Scriptorium
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Portfolio Insurance in Complete Markets: A Note

✍ Scribed by Sanford J. Grossman and Jean-Luc Vila


Book ID
124684178
Publisher
University of Chicago Press
Year
1989
Tongue
English
Weight
123 KB
Volume
62
Category
Article
ISSN
0021-9398

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πŸ“œ SIMILAR VOLUMES


Monte Carlo computation of optimal portf
✍ JakΕ‘a CvitaniΔ‡; Levon Goukasian; Fernando Zapatero πŸ“‚ Article πŸ“… 2003 πŸ› Elsevier Science 🌐 English βš– 165 KB

We introduce a method that relies exclusively on Monte Carlo simulation in order to compute numerically optimal portfolio values for utility maximization problems. Our method is quite general and only requires complete markets and knowledge of the dynamics of the security processes. It can be applie